Normally yes, although you can, if you wanted to, use something like simulated keystrokes where you can choose if you want to allow the original message through too, or you can for example, include a {MWUP}/{MWDN} tag in your simulated keys.

OK, I'm not sure what you are doing with chrome, but if I set the mouse wheel to "Disable" it blocks it on chrome, and if I set it to something else (simulated keys) it also blocks it.

There should be nothing in Chrome that makes if "unsupported" although there are some extra rules built in to XMBC for chrome, so maybe they are causing some differences. If you could give an example of what you are trying to do, I will be able to try and reproduce it here to see if it is working as I expect or not.